Robustness analysis on the pricing of some options on two assets with delays

DOI10.1016/j.physa.2019.121883OpenAlexW2952572086WikidataQ127647940 ScholiaQ127647940MaRDI QIDQ2163926

Yanyan Li

Publication date: 11 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121883

zbMATH Keywords

robustnessdelayEuler-Maruyama approximationtwo-asset options

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
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